Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0312
Annualized Std Dev 0.1183
Annualized Sharpe (Rf=0%) 0.2634

Row

Daily Return Statistics

Close
Observations 3018.0000
NAs 1.0000
Minimum -0.0910
Quartile 1 -0.0033
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0040
Maximum 0.1040
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0075
Skewness 0.3424
Kurtosis 35.9462

Downside Risk

Close
Semi Deviation 0.0053
Gain Deviation 0.0055
Loss Deviation 0.0058
Downside Deviation (MAR=210%) 0.0106
Downside Deviation (Rf=0%) 0.0053
Downside Deviation (0%) 0.0053
Maximum Drawdown 0.2795
Historical VaR (95%) -0.0101
Historical ES (95%) -0.0163
Modified VaR (95%) -0.0060
Modified ES (95%) -0.0060
From Trough To Depth Length To Trough Recovery
2020-03-09 2020-03-19 2020-07-15 -0.2795 90 9 81
2012-10-16 2013-08-21 2015-01-15 -0.1658 565 212 353
2015-02-02 2016-02-16 2019-08-02 -0.1567 1134 262 872
2020-08-07 2021-03-18 NA -0.1221 156 154 NA
2010-08-27 2011-02-04 2011-09-22 -0.1216 270 112 158

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA 0.1 0.3 0.4 -1.3 0.7 0.2 -0.1 -0.6 -1 -0.3 -1.7
2010 -0.6 -0.7 -0.2 1 -0.3 -0.1 0.9 -1.7 -0.8 -0.2 -1.5 1.5 -2.8
2011 -0.5 -0.6 0.3 0.6 0.3 -0.3 0.6 -0.2 0.9 0.7 -0.2 0.1 1.7
2012 -1.5 -1.2 -0.7 -0.3 0.8 -0.3 -0.6 0.8 -0.2 -0.2 -0.2 -1.2 -4.8
2013 -0.7 -0.4 -0.1 0.3 -0.9 0.4 -1.3 0.2 -0.7 -1.2 0.1 -0.3 -4.7
2014 -0.1 0.1 -0.5 0.3 -0.4 -0.9 -0.2 0.2 0.6 0 -1.3 -0.4 -2.3
2015 1.2 0.6 0.6 -1.2 -1.4 -0.9 1 0 0 0.8 0.8 0.4 1.8
2016 -0.7 -1.4 0.4 0.1 0 0.9 -1.6 -0.5 -0.4 -0.7 -0.5 0.5 -3.9
2017 -0.7 -1.7 0 -1.2 -0.5 -0.3 0.1 -0.8 0.5 -0.2 0.6 0.1 -4
2018 -1.3 -0.4 1 -0.8 -0.5 0 -0.8 -0.3 -0.6 -0.1 0 0.3 -3.3
2019 -0.8 -0.7 -1.1 -0.3 0.5 0.1 0.9 -0.3 -0.2 -0.2 -0.3 -0.6 -2.9
2020 0.3 1.9 -1.1 -1.1 -0.6 0.3 0.1 0.7 0.3 -0.8 -0.9 0.1 -0.9
2021 0 -0.5 0.5 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-03-11  20.5 SPY    72.6  0.0065   0.0127  -0.166   -0.202    -0.452   -0.430   -0.366 GLD    89.2  0.0123  0.0026 
2 2009-03-12  20.1 SPY    75.5  0.0394   0.0974  -0.0916  -0.156    -0.425   -0.413   -0.329 GLD    91.1  0.0211 -0.00960
3 2009-03-13  20.2 SPY    76.1  0.0078   0.104   -0.0898  -0.156    -0.422   -0.409   -0.315 GLD    91.3  0.0022 -0.0107 
4 2009-03-16  20.2 SPY    75.9 -0.003    0.114   -0.0932  -0.137    -0.415   -0.417   -0.326 GLD    90.8 -0.0055  0.0025 
5 2009-03-17  20.2 SPY    78.2  0.0306   0.0833  -0.0553  -0.122    -0.391   -0.402   -0.297 GLD    90.0 -0.0084  0.0216 
6 2009-03-18  20.1 SPY    79.9  0.0224   0.100    0.009   -0.0891   -0.402   -0.39    -0.285 GLD    93.1  0.0339  0.0434 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart